basically, if anyone tries to 'attack' your pc, it'll just hit the router and stop there (when you're browsing the internet, they'll only see your router's ip)
an IP is like a telephone number, so if they want to send things to your pc, they'll send it to your IP (number), but the router will be unaffected by attacks, wheras your pc wouldn't be
so a router is like having a crash test dummy in the way that takes the hits for you and you get zero problems..
^pretty simplistic way of putting it, but thats how it works..
its also a good way of adding extra pc's to your home's internet and sharing the internet with ease, the router will dialup your adsl provider and make the connection, then you connect to the router using a normal ethernet/lan cable so you dont need any software on your pc to connect to the internet, the router does the work..
once you've set your router up (simple guides come with them) you just connect a lan cable up and the internet will just work
-i'd ditch mcaffe and just use the xpfirewall, get a trial of nod32 (antivirus) if you like it then get it, its got real good performance, also windows defender is a good tool (antispyware) and is free.. (go into options and disable real-time scanning tho, or it'll affect your pc speed a bit.. just set weekly scans)